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次贷危机很大程度上与信用衍生品的定价有关,且当前对信用衍生品的定价研究主要使用无套利原理。在单一框架下进行研究很可能对其定价产生盲点。本文使用一般均衡原理,建立产品市场和金融市场同时均衡下的单名CDS定价模型,发现一般均衡的定价结果已经包含了无套利定价结果。在敏感性分析中,将无套利定价与一般均衡定价进行对比,发现一般均衡定价有更丰富更准确的风险刻画能力。在情景模拟中,将金融危机时期和金融危机后无套利定价与一般均衡定价进行对比,发现一般均衡定价在金融危机时期与无套利定价差距较大,在正常时期差距较小,这也从侧面表明一般均衡定价对于无套利定价的完善和补充。
Subprime mortgage crisis is largely related to the pricing of credit derivatives, and the current pricing of credit derivatives mainly uses the principle of no arbitrage. Research within a single framework is likely to create a blind spot in its pricing. In this paper, the general equilibrium principle is used to establish a single CDS pricing model under the equilibrium of product market and financial market at the same time. It is found that the general equilibrium pricing result already contains the non-arbitrage pricing result. In the sensitivity analysis, comparing the non-arbitrage pricing with the general equilibrium pricing, we find that the general equilibrium pricing has richer and more accurate risk characterization. In the scenario simulation, we compare the non-arbitrage pricing with the general equilibrium pricing after the financial crisis and the financial crisis. We find that the general equilibrium pricing lags far behind the non-arbitrage pricing during the financial crisis and the gap is smaller in the normal period. It shows that the general equilibrium pricing improves and completes the non-arbitrage pricing.